Eurex US offers three-year Treasury derivatives

Eurex US will list futures and options on futures in the three-year Treasury note market starting on February 1. The electronic derivatives exchange, which is part of the Deutsche Börse Group, already offers these products on two-, five- and 10-year Treasury notes and on 30-year Treasury bonds, and also lists equity index futures.

“The introduction of three-year US Treasury futures marks a new point on the Treasury yield curve," said Satish Nandapurkar, chief executive of Eurex US. He said they were created because the US Treasury department’s regular issue policy had generated strong client demand in short-term notes.

Eurex US also said the contract value of two-year Treasury futures and options would increase to $1 million, up from the current size of $200,000. This will bring the contract size in line with the underlying cash bond market.

This white paper looks at the Basel Committee's BCBS239 principles, also known as PERDARR (Principles for Effective Risk Data Aggregation and Risk Reporting), which comes into force from 1 January 2016.